Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1291 |
| Annualized Std Dev | 0.2595 |
| Annualized Sharpe (Rf=0%) | 0.4977 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3619.0000 |
| NAs | 1.0000 |
| Minimum | -0.1326 |
| Quartile 1 | -0.0070 |
| Median | 0.0017 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0087 |
| Maximum | 0.1043 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0003 |
| Stdev | 0.0163 |
| Skewness | -0.4670 |
| Kurtosis | 5.2252 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0105 |
| Loss Deviation | 0.0129 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.5538 |
| Historical VaR (95%) | -0.0262 |
| Historical ES (95%) | -0.0398 |
| Modified VaR (95%) | -0.0266 |
| Modified ES (95%) | -0.0499 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2008-11-20 | 2013-05-10 | -0.5538 | 1453 | 340 | 1113 |
| 2020-02-20 | 2020-03-18 | 2020-05-29 | -0.3461 | 70 | 20 | 50 |
| 2018-09-05 | 2018-12-24 | 2019-03-21 | -0.2956 | 136 | 77 | 59 |
| 2015-06-19 | 2016-02-09 | 2017-03-17 | -0.2947 | 440 | 162 | 278 |
| 2021-02-16 | 2021-03-08 | NA | -0.2446 | 25 | 15 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -2.1 | -1.1 | -0.9 | -4 |
| 2007 | 0.6 | 0 | 0.3 | 0 | 0.2 | -0.3 | 0.3 | 1.5 | 2.1 | -2.1 | -0.1 | -0.8 | 1.6 |
| 2008 | 3.6 | -1.9 | 3.2 | 3.2 | 0.5 | 0.1 | -0.2 | -1.4 | -1.1 | 3.1 | -8 | 2.8 | 3.2 |
| 2009 | -2 | 0.5 | 1 | 0.3 | 4.3 | 1.6 | -0.5 | -1.7 | -2.8 | -2.5 | 1.2 | 0 | -0.9 |
| 2010 | 0.9 | 1.9 | -0.5 | -2.6 | -2.5 | -0.8 | 0 | 3 | 0 | -0.5 | 2.7 | -1 | 0.5 |
| 2011 | 2.8 | -1.5 | 0.6 | 0 | -0.9 | 1.5 | -0.6 | 0.7 | -0.5 | -3.6 | 4.3 | 1 | 3.6 |
| 2012 | 2.6 | 0.2 | 0.2 | 1.3 | -2.4 | 3.2 | -1.4 | 0.2 | -0.4 | 1.3 | -0.5 | 1.1 | 5.3 |
| 2013 | 1 | -0.1 | -1.1 | -1.8 | -0.3 | 1.1 | 1 | 0.8 | 1.4 | -0.6 | 0.3 | 0.3 | 1.8 |
| 2014 | -1 | -0.7 | 1.8 | 1.4 | -1.1 | 1.2 | -0.1 | 0.8 | -2.5 | 3 | -1.6 | -1.1 | 0 |
| 2015 | -1.2 | -0.5 | -1.1 | 2.1 | 0.4 | 0.3 | -0.3 | -2.6 | -0.1 | 0.7 | 0.5 | -1.5 | -3.4 |
| 2016 | 0.4 | 2.7 | 0.6 | -1.4 | 0.3 | -0.1 | 0.1 | 0.5 | 0.9 | -0.8 | -4.2 | -1.3 | -2.4 |
| 2017 | 1.6 | 1.9 | -0.1 | 1.3 | 0.6 | -0.2 | 0.5 | 0.4 | 1.5 | -1.7 | -1.1 | -0.1 | 4.4 |
| 2018 | -0.9 | -1.9 | 2.5 | 0.2 | 1.6 | 0.3 | 2.5 | 0.4 | -1.4 | 1.9 | 0.6 | 1.2 | 7.1 |
| 2019 | 0.7 | 1.3 | 0.8 | -1.7 | -0.8 | 0.9 | 0.8 | -1.3 | -1.2 | 0.8 | -0.5 | 0.3 | 0.2 |
| 2020 | -2.8 | 1 | -4.4 | -3 | 2.4 | 2.3 | 1.8 | 5.3 | 2.7 | -3.7 | -0.5 | -0.4 | 0.1 |
| 2021 | 2 | 5.8 | 2.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 10.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-10-12 25.5 SPY 136. 0.0087 0.0081 0.0307 0.103 0.160 0.299 0.239 GLD 57.5 0.0107 0.01
2 2006-10-13 25.8 SPY 137. 0.0026 0.012 0.0333 0.108 0.164 0.298 0.248 GLD 58.6 0.0188 0.0277
3 2006-10-16 25.9 SPY 137. 0.0015 0.013 0.037 0.104 0.153 0.303 0.252 GLD 59.2 0.0102 0.0344
4 2006-10-17 25.8 SPY 136. -0.0031 0.0084 0.0323 0.0853 0.145 0.294 0.240 GLD 58.6 -0.0088 0.0289
5 2006-10-18 25.6 SPY 137. 0.0013 0.011 0.0363 0.0942 0.159 0.310 0.269 GLD 58.6 -0.001 0.0301
6 2006-10-19 25.7 SPY 137. 0.0016 0.0039 0.0325 0.104 0.142 0.302 0.274 GLD 59.4 0.014 0.0334
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
